24 件中 1 - 10 件目
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論文題目名 Title of the articles |
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掲載誌名 Journal name，出版機関名 Publishing organization，巻／号 Vol./no.，頁数 Page nos.，発行年月（日） Date | |||
2022 | Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach | 未設定 | |
Econometric Theory ， Cambridge University Press ， 38 ， 1-34 ， 2022 | |||
概要（Abstract） We consider conditions for strict stationarity and ergodicity of a class of multivariate BEKK processes and study the tail behavior of the associated stationary distributions. Specifically, we consider a class of BEKK-ARCH processes where the innovations are assumed to be Gaussian and a finite number of lagged ’s may load into the conditional covariance matrix of . By exploiting that the processes have multivariate stochastic recurrence equation representations, we show the existence of strictly stationary solutions under mild conditions, where only a fractional moment of may be finite. Moreover, we show that each component of the BEKK processes is regularly varying with some tail index. In general, the tail index differs along the components, which contrasts with most of the existing literature on the tail behavior of multivariate GARCH processes. Lastly, in an empirical illustration of our theoretical results, we quantify the model-implied tail index of the daily returns on two cryptocurrencies. |
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2022 | Tails of bivariate stochastic recurrence equation with triangular matrices | 共著 | |
Stochastic Processes and their Applications ， Elsevier ， 150 ， 147-191 ， 2022 | |||
概要（Abstract） We study bivariate stochastic recurrence equations with triangular matrix coefficients and we characterize the tail behavior of their stationary solutions W=(W_1,W_2). Recently it has been observed that W_1,W_2 may exhibit regularly varying tails with different indices, which is in contrast to well-known Kesten-type results. However, only partial results have been derived. Under typical “Kesten–Goldie” and “Grey” conditions, we completely characterize tail behavior of W_1,W_2. The tail asymptotics we obtain has not been observed in previous settings of stochastic recurrence equations. |
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2022 | Distance covariance for random fields | 共著 | |
Stochastic Processes and their Applications ， Elsevier ， 150 ， 280-322 ， 2022 | |||
概要（Abstract）
We study an independence test based on distance correlation for random fields (X, Y). We consider the |
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2021 | Asymptotics of maximum likelihood estimation for stable law with continuous parameterization | 単著 | |
Communications in Statistics -Theory and Methods ， Taylor & Francis ， 50 ， 3695-3712 ， 2021 | |||
概要（Abstract） Asymptotics of maximum likelihood estimation for α-stable law are analytically investigated with a continuous parameterization. The consistency and asymptotic normality are shown on the interior of the whole parameter space. Although these asymptotics have been provided with Zolotarev’s (B) parameterization, there are several gaps between. Especially in the latter, the density is discontinuous at α = 1 for β≠0 and usual asymptotics are impossible. This is a considerable inconvenience for applications. By showing that these quantities are smooth in the continuous form, we fill the gaps between and provide a convenient theory. We numerically approximate the Fisher information matrix around the Cauchy law (α,β)=(1,0). The results exhibit continuity at α=1,β≠0 and this secures the accuracy of our calculations. |
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2016 | Fractional absolute moments of heavy tailed distributions | 共著 | |
Brazilian journal of probability and statistics ， Brazilian Statistical Association ， 30 ， 272-298 ， 2016 | |||
概要（Abstract） Several convenient methods for calculation of fractional absolute moments are given with application to heavy tailed distributions. Our main focus is on an infinite variance case with finite mean, that is, we are interested in formulae for E[|X − μ|γ ] with 1 < γ < 2 and μ ∈ R. We review techniques of fractional differentiation of Laplace transforms and characteristic functions. Several examples are given with analytical expressions of E[|X − μ|γ ]. We also evaluate the fractional moment errors for both prediction and parameter estimation problems. |
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2016 | Extremogram and the cross-Extremogram for a bivariate GARCH(1,1) Process | 共著 | |
Advances in Applied Probability ， Applied Probability Trust ， 48A ， 217-233. ， 2016 | |||
概要（Abstract） We derive asymptotic theory for the extremogram and cross-extremogram of a bivariate GARCH(1,1) process. We show that the tails of the components of a bivariate GARCH(1,1) process may exhibit power-law behavior but, depending on the choice of the parameters, the tail indices of the components may differ. We apply the theory to five-minute return data of stock prices and foreign-exchange rates. We judge the fit of a bivariate GARCH(1,1) model by considering the sample extremogram and cross-extremogram of the residuals. The results are in agreement with the independent and identically distributed hypothesis of the two-dimensional innovations sequence. The cross-extremograms at lag zero have a value significantly distinct from zero. This fact points at some strong extremal dependence of the components of the innovations. |
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2015 | Macroeconomic dynamics in a model with heterogeneous wage contracts | 共著 | |
Economic Modelling ， Elsevier ， 49 ， 72-80 ， 2015 | |||
概要（Abstract） In the present paper, we constructed a DSGE model with two types of workers with heterogeneous wage contracts, unionized and non-unionized wages, to investigate macroeconomic dynamics and welfare implications. The innovative feature of this paper is to examine direct substitution effects between workers with both types of wage contracts by introducing firms that jointly employ them. It is revealed that the macroeconomic volatility and welfare loss to asymmetric labor productivity shock increased and decreased with the elasticity of substitution between two types of workers and labor unions' bargaining power, respectively. Furthermore, those of monetary policy shock increased with labor unions' bargaining power, which implies that better monetary policy design is more important when unions are more influential. |
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備考（Remarks） 査読付き論文 |
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2015 | Generalized fractional Levy processes with fractional Brownian motion limit and applications to stochastic volatility models | 共著 | |
Advances in Applied Probability ， Applied Probability Trust ， 47 ， 1108-1131 ， 2015 | |||
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備考（Remarks） 査読付き論文 |
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2014 | Prediction in a non-homogeneous Poisson cluster model | 単著 | |
Insurance: Mathematics and Economics ， Elsevier ， 55 ， 10-17 ， 2014 | |||
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備考（Remarks） 査読付き論文 |
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2014 | The Lamperti Transform of fractional Brownian motion and related self-similar Gaussian processes. | 共著 | |
Stochastic models ， Taylor & Francis ， 30 ， 68-98 ， 2013 | |||
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備考（Remarks） 査読付き論文 |
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